Numerical Method of Hybrid Stochastic Functional Differential Equations with the Local Lipschitz Coefficients
Recently, hybrid stochastic differential equations have received a great deal of attention. It is surprising that there are not any numerical schemes established for the hybrid stochastic functional differential equations. In this paper, the Euler—Maruyama method is developed, and the main aim is to show that the numerical solutions will converge to the true solutions under the local Lipschitz condition. The result obtained generalizes the earlier results.
H. Yang et al., "Numerical Method of Hybrid Stochastic Functional Differential Equations with the Local Lipschitz Coefficients", Advanced Materials Research, Vol. 267, pp. 422-426, 2011